En poursuivant votre navigation sur ce site, vous acceptez l'utilisation de cookies pour vous proposer des services et offres adaptés à vos centres d'intérêt.

En savoir plus
Finance

"Another look on the relationships between oil prices and energy prices", par Ramzi Benkraiem

06 janvier 2017
Dr Ramzi Benkraiem, Professeur Associé de l’Institut pour la Finance, a publié un article co-écrit avec A. Lahiani, A. Miloudi et M. Shahbaz dans la revue 3* Energy Policy

This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers.

LIRE L'ARTICLE


Vous aimerez aussi
  • Infotainment #40 by Morgan

    24 février 2017
  • Operational/economic efficiency analysis of public hospitals

    13 décembre 2016
  • L'Equity Crowdfunding ou comment un citoyen lambda peut devenir actionnaire d'une entreprise

    02 novembre 2016
  • Sortie du premier "Le saviez-vous ?" sur l'Observatoire 2016 de la Vulnérabilité Financière des Français

    07 novembre 2016

Catégories
Finance Excellence